no code implementations • 16 Apr 2019 • Xiaochuan Deng, Fei Sun
As regulators pay more attentions to losses rather than gains, we are able to derive a new class of risk statistics, named regulator-based risk statistics with scenario analysis in this paper.
no code implementations • 16 Apr 2019 • Xiaochuan Deng, Fei Sun
Risk statistic is a critical factor not only for risk analysis but also for financial application.